The Leatherback Long/Short Alternative Yield ETF (LBAY) (the “Fund”) net asset value (NAV) advanced by 5.17% in January, compared to a decline of 5.17% for the S&P 500 Index. LBAY paid our fourteenth consecutive monthly distribution, at $0.065 per share in January. This is a 3.16% SEC yield versus the S&P 500 Index dividend yield of approximately 1.34%, and the 10-Year US Treasury yield of 1.778%. NAV performance for the Fund to date since inception (November 16, 2020) has produced a 34.33% cumulative total return and a 27.67% annualized total return.
A pessimist sees the difficulty in every opportunity, an optimist sees the opportunity in every difficulty. " - Winston Churchill
*Definitions: Alpha-generation refers to a strategy that seeks to generate excess returns or value without additional risk. A basis point is one hundredth of one percent. One basis point is 0.01%. Revenue multiple is the Enterprise Value to trailing 12-month sales ratio. Enterprise Value (EV) is a measure of a company’s total value, and includes market capitalization, cash, and debt. Earnings per Share Estimate is a company’s expected future annual earnings per share, as estimated by professional analysts. EBITDA multiple is the EV to (trailing 12-month EBITDA + adjustments for Operating Lease). EBITDA is a company’s earnings before interest, taxes, depreciation, and amortization.
1 The S&P 500 Index includes 500 leading companies and covers approximately 80% of the available market capitalization. The S&P 500 Dividend Yield is the estimated sum of all dividends paid by the index’s stocks in the last 12 months, divided by the index market capitalization as reported by the S&P. The dividend yield does not represent or predict the performance of the Fund. Indexes are unmanaged and it is not possible to invest in an index.
2 The 30-day SEC yield is calculated from the 30 days ending on the last day of the previous month. This figure approximates the yield an investor would receive in a year, assuming that each bond in the portfolio is held until maturity. View the 30 day SEC yield here.
3Source: @CarterBWorth, January 31, 2022
4View LBAY top 10 holdings here. The S&P 500 Pure Value index is a style-concentrated index designed to track the performance of stocks that exhibit the strongest value characteristics by using a style-attractiveness-weighting scheme. The S&P 500 Value Index is a market capitalization weighted index. All the stocks in the underlying parent index are allocated into value or growth. Stocks that do not have pure value or pure growth characteristics have their market caps distributed between the value & growth indices. Prior to 12/19/2005 this index represented the S&P 500/Barra Value Index. The MSCI USA Enhanced Value Index captures large and mid-cap representation across the US equity markets exhibiting overall value style characteristics. The index is designed to represent the performance of securities that exhibit higher value characteristics relative to their peers within the corresponding GICS® sector. The value investment style characteristics for index construction are defined using three variables: Price-to-Book Value, Price-to-Forward Earnings and Enterprise Value-to-Cash flow from Operations. Russell Midcap Value Index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. Russell 2000 Value Index measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The S&P 500 Growth Index is a market capitalization weighted index. All the stocks in the underlying parent index are allocated into value or growth. Stocks that do not have pure value or pure growth characteristics have their market caps distributed between the value & growth indices. Prior to 12/19/2005 this index represented the S&P 500/Barra Growth Index. The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. No security can have more than a 24% weighting. The MSCI USA Momentum Index is based on MSCI USA Index, its parent index, which captures large and mid cap stocks of the US market. It is designed to reflect the performance of an equity momentum strategy by emphasizing stocks with high price momentum, while maintaining reasonably high trading liquidity, investment capacity and moderate index turnover. Russell Midcap Growth Index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. S&P Pure Growth Indices includes only those components of the parent index that exhibit strong growth characteristics, and weights them by growth score. Russell 2000 Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. The Indxx SPAC & NextGen IPO Index is a passive rules-based index that tracks the performance of the newly listed Special Purpose Acquisitions Corporations (“SPACs”) ex- warrant and initial public offerings derived from SPACs since August 1, 2017. The Renaissance IPO Index is a divers. portfolio of US-listed newly public companies that provides exposure to securities under-represented in broad benchmark indices. IPOs that pass a formulated screening process are weighted by float, capped at 10% and removed after two years. Indexes are unmanaged and it is not possible to invest in an index. Sources: Bloomberg, https://www.spglobal.com/, https://www.msci.com/
5Source: https://fred.stlouisfed.org/, January 31, 2022
6Source: https://www.fortune.com/, January 31, 2022
7View LBAY top 10 holdings here. Characteristics and metrics of the companies shown are for the underlying securities in the fund’s portfolio and do not represent or predict the performance of the fund. There is no guarantee that a company will pay or continually increase its dividend. The NYSE Arca Gold BUGS Index is a modified equal-dollar weighted index of companies involved in major gold mining. The index was designed to give investors significant exposure to near term movements in gold prices by including companies that do not hedge their gold production beyond 1½ years. The index was developed with a base value of 200 as of March 15, 1996. Indexes are unmanaged and it is not possible to invest in an index. Source: Bloomberg